infer_conforming_time_grid: A time grid with extra times inserted for coupons, calls and...
In brianboonstra/ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes
Description
Usage
Arguments
Value
See Also
Description
At its base, this function chooses a time grid with 1+min_num_time_steps
elements from 0 to Tmax. Any coupon, call, or put times occurring in
one of the supplied instruments are also inserted.
Usage
1
infer_conforming_time_grid(min_num_time_steps, Tmax, instruments = NULL)
Arguments
min_num_time_steps
The minimum number of timesteps the output vector should have
Tmax
The maximum time on the grid
instruments
A set of instruments whose maturity and terms
and conditions can introduce extra timesteps. Each will be queried for the output of
a critical_times function.
Value
A vector of times at which the grid should have nodes
See Also
Other Implicit Grid Solver:
construct_implicit_grid_structure(),
find_present_value(),
form_present_value_grid(),
integrate_pde(),
iterate_grid_from_timestep(),
take_implicit_timestep(),
timestep_instruments()
brianboonstra/ragtop documentation built on March 7, 2020, 2:23 p.m.
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Description Usage Arguments Value See Also
Description
At its base, this function chooses a time grid with 1+min_num_time_steps
elements from 0 to Tmax. Any coupon, call, or put times occurring in
one of the supplied instruments are also inserted.
Usage
1 | infer_conforming_time_grid(min_num_time_steps, Tmax, instruments = NULL)
|
Arguments
min_num_time_steps |
The minimum number of timesteps the output vector should have |
Tmax |
The maximum time on the grid |
instruments |
A set of instruments whose maturity and terms
and conditions can introduce extra timesteps. Each will be queried for the output of
a |
Value
A vector of times at which the grid should have nodes
See Also
Other Implicit Grid Solver:
construct_implicit_grid_structure(),
find_present_value(),
form_present_value_grid(),
integrate_pde(),
iterate_grid_from_timestep(),
take_implicit_timestep(),
timestep_instruments()
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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